Financial Modeling, Actuarial Valuation and Solvency in Insurance

Häftad, Engelska, 2015

Av Mario V. Wüthrich, Michael Merz, Mario V. Wuthrich

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Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions.

Produktinformation

Utgivningsdatum2015-05-20
Mått155 x 235 x 25 mm
Vikt674 g
FormatHäftad
SpråkEngelska
SerieSpringer Finance
Antal sidor432
Upplaga2013
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783642432965

Tillhör följande kategorier

1.Introduction.- Part I: Financial Valuation Principles.- 2.State price deflators and stochastic discounting.- 3.spot rate models.- 4.Stochastic forward rate and yield curve modeling.- 5.Pricing of financial assets.- Part II: Actuarial Valuation and Solvency.- 6.Actuarial and financial modeling.- 7.Valuation portfolio.- 8.Protected valuation portfolio.- 9.Solvency.- 10.Selected topics and examples.- Part III: Appendix.- 11.Auxiliary considerations.- References.- Index.

From the reviews:“The purpose of this book is to introduce sound risk measurement practices which form bases of good risk management policies and solvency regulation. … I warmly recommend this book to graduate students and researchers in applied mathematics, financial mathematics, actuarial science, solvency and insurance. … The models proposed are original and very up-to-date. The book could be an essential tool for people working with financial modeling, actuarial valuation, and solvency in insurance.” (Răzvan Răducanu, Mathematical Reviews, December, 2013)